RT Journal Article
SR Electronic
T1 A Century of Evidence on Trend-Following Investing
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 15
OP 29
DO 10.3905/jpm.2017.44.1.015
VO 44
IS 1
A1 Hurst, Brian
A1 Ooi, Yao Hua
A1 Pedersen, Lasse Heje
YR 2017
UL http://jpm.iijournals.com/content/44/1/15.abstract
AB In this article, the authors study the performance of trend-following investing across global markets since 1880, extending the existing evidence by more than 100 years using a novel data set. They find that in each decade since 1880, time-series momentum has delivered positive average returns with low correlations to traditional asset classes. Further, time-series momentum has performed well in 8 out of 10 of the largest crisis periods over the century, defined as the largest drawdowns for a 60/40 stock/bond portfolio. Lastly, the authors find that time-series momentum has performed well across different macro environments, including recessions and booms, war and peace, high- and low-interest-rate regimes, and high- and low-inflation periods.